Discussion of “Momentum and Autocorrelation in Stock Returns”: Table 1

Publisher Website
Google Scholar
Abstract
Jegadeesh and Titman (1993) document individual stock momentum: strategies that buy stocks that have performed relatively well in the past and sell stocks that have performed relatively poorly in the past generate significant positive returns over the 3- to 12-month horizon. This finding, obtained using data from the U.S. market, also holds for a number of international markets [e.g., Haugen and Baker (1996), Rouwenhorst (1998)]. What are the economic mechanisms behind individual stock momentum?